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Added tags to python algorithms

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Jared Broad
2017-09-21 08:27:41 -04:00
parent 98d77fab45
commit dc27c4e3d6
37 changed files with 590 additions and 429 deletions
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Algorithm.Python/OptionChainProviderAlgorithm.py
+33 -27
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@@ -1,10 +1,10 @@
# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
#
# Licensed under the Apache License, Version 2.0 (the "License");
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
#
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
@@ -26,11 +26,17 @@ import numpy as np
from datetime import timedelta
from math import floor, ceil
### <summary>
### Demonstration of the Option Chain Provider -- a much faster mechanism for manually specifying the option contracts you'd like to recieve
### data for and manually subscribing to them.
### </summary>
### <meta name="tag" content="strategy example" />
### <meta name="tag" content="options" />
### <meta name="tag" content="using data" />
### <meta name="tag" content="selecting options" />
### <meta name="tag" content="manual selection" />
class OptionChainProviderAlgorithm(QCAlgorithm):
''' This algorithm demonstrates how to filter the option contracts for options trading using OptionChainProvider
The algorithm purchase a call option and a put option with the same strike and expiration date '''
def Initialize(self):
self.SetStartDate(2017, 04, 01)
self.SetEndDate(2017, 06, 30)
@@ -39,15 +45,15 @@ class OptionChainProviderAlgorithm(QCAlgorithm):
self.underlyingsymbol = equity.Symbol
# use the underlying equity GOOG as the benchmark
self.SetBenchmark(equity.Symbol)
def OnData(self,slice):
''' OptionChainProvider gets the option chain provider,
''' OptionChainProvider gets the option chain provider,
used to get the list of option contracts for an underlying symbol.
Then you can manually filter the contract list returned by GetOptionContractList.
The manual filtering will be limited to the information
The manual filtering will be limited to the information
included in the Symbol (strike, expiration, type, style) and/or prices from a History call '''
if not self.Portfolio.Invested:
contracts = self.OptionChainProvider.GetOptionContractList(self.underlyingsymbol, self.Time.date())
self.TradeOptions(contracts)
@@ -55,44 +61,44 @@ class OptionChainProviderAlgorithm(QCAlgorithm):
def TradeOptions(self,contracts):
# run CoarseSelection method and get a list of contracts expire within 30 to 60 days from now on
# and the strike price between rank -5 to rank 5
# and the strike price between rank -5 to rank 5
filtered_contracts = self.CoarseSelection(self.underlyingsymbol, contracts, -5, 5, 30, 60)
expiry = sorted(filtered_contracts,key = lambda x: x.ID.Date, reverse=True)[0].ID.Date
# filter the call options from the contracts expire on that date
call = [i for i in filtered_contracts if i.ID.Date == expiry and i.ID.OptionRight == 0]
# sorted the contracts according to their strike prices
call_contracts = sorted(call,key = lambda x: x.ID.StrikePrice)
# sorted the contracts according to their strike prices
call_contracts = sorted(call,key = lambda x: x.ID.StrikePrice)
self.call = call_contracts[0]
for i in filtered_contracts:
if i.ID.Date == expiry and i.ID.OptionRight == 1 and i.ID.StrikePrice ==call_contracts[0].ID.StrikePrice:
self.put = i
''' Before trading the specific contract, you need to add this option contract
AddOptionContract starts a subscription for the requested contract symbol '''
self.AddOptionContract(self.call, Resolution.Minute)
self.AddOptionContract(self.put, Resolution.Minute)
self.AddOptionContract(self.put, Resolution.Minute)
self.Buy(self.call.Value ,1)
self.Buy(self.put.Value ,1)
def CoarseSelection(self, underlyingsymbol, symbol_list, min_strike_rank, max_strike_rank, min_expiry, max_expiry):
''' This method implements the coarse selection of option contracts
''' This method implements the coarse selection of option contracts
according to the range of strike price and the expiration date,
this function will help you better choose the options of different moneyness '''
# fitler the contracts based on the expiry range
contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry]
contract_list = [i for i in symbol_list if min_expiry < (i.ID.Date.date() - self.Time.date()).days < max_expiry]
# find the strike price of ATM option
atm_strike = sorted(contract_list,
atm_strike = sorted(contract_list,
key = lambda x: abs(x.ID.StrikePrice - self.Securities[underlyingsymbol].Price))[0].ID.StrikePrice
strike_list = sorted(set([i.ID.StrikePrice for i in contract_list]))
# find the index of ATM strike in the sorted strike list
# find the index of ATM strike in the sorted strike list
atm_strike_rank = strike_list.index(atm_strike)
min_strike = strike_list[atm_strike_rank + min_strike_rank]
max_strike = strike_list[atm_strike_rank + max_strike_rank]
# filter the contracts based on the range of the strike price rank
filtered_contracts = [i for i in contract_list if i.ID.StrikePrice >= min_strike and i.ID.StrikePrice <= max_strike]
return filtered_contracts